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List of Q&A's

FINREP Counterparty Breakdown (ESA 2010)

Annex V, Part 1, Reference 6.34 (b) 'general governments': Please confirm that public companies and private companies controlled by central governments, state or regional governments, local governments (including administrative bodies and non-commercial undertakings), that are market producer has to be reported in accordance with ESA 2010 (which may either lead to a classification as "non-financial corporation" or "financial corporation"). Annex V, Part 1, Reference 6.34 (d) 'other financial corporations': Please confirm that 'captive financial institutions' according to ESA 2010 has to be reported under 'other financial corporations'.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2015_1758
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 15/04/2016

Definition for short-term letters of credit

What does short-term in this context mean? 90 days or 1 year? Residual maturity or original effective maturity?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1757
  • Topic: Other issues
  • Date of submission:
  • Published as final Q&A: 19/06/2015

Reporting of "Value according to Article 418 of CRR" of liquid assets

How should the "Value according to Article 418 of CRR" be calculated for assets which do/do not fulfill the requirements of Article 416 and/or Article 417 CRR (C 51.00 Reporting IDs 2 - 4, C 52.00 Reporting IDs 1.2.2.11 - 1.2.2.13, C 53.00 Reporting IDs 1.6.11 - 1.6.13 - without IDs 1.6.13.13 - 1.6.13.13.3)

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2015_1752
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/03/2021

Validation rules v1026_m to v1029_m and v1372_m to v1376_m.

According to IAS 24.19 " The disclosures shall be made separately for each of the categories" - in ex. subparagraph a "Parent and entities with joint control or significant influence" it is not mentioned that individuals in subparagraph f "Key management personnel of the entity or its parent "and/or g "Other related parties" shall be eliminated. The case is that subparagraph a to e deals with organisationunits while f and g deals with individuals, and there is not mentioned any kind of exclusion between the categories. The problem is that the validationrules assume the opposite ex. v1375_m: sum({F 31.02, r040, (c010-050)}) <= {F 02.00, r200,c010}

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2015_1749
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 13/12/2019

Application of volatility haircuts adjusted under Article 285(3) (extended margin period of risk)

Is the ‘use test’ set out in Article 225(3)(a)/(b) of the CRR intended to be sufficiently strong to invoke the use of haircuts adjusted under Art 285(3) in the non-model exposure calculation for a netting set containing a single SFT?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1748
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 19/06/2015

Calculation and reporting of own funds requirement for Market risk: Foreign exchange risk

According to article 351 of CRR the own funds requirement for foreign exchange risk shall be the sum of its overall net foreign-exchange position and its net gold position in the reporting currency, multiplied by 8 % while in article 352 (4) of CRR the net foreign exchange position is calculated as follow: “ Net short and long positions in each currency other than the reporting currency and the net long or short position in gold shall be converted at spot rates into the reporting currency. They shall then be summed separately to form the total of the net short positions and the total of the net long positions respectively. The higher of these two totals shall be the institution's overall net foreign-exchange position.” It seems that according to article 351 the institution should calculate two different Positions subject to capital charge: the first one for exposures in foreign exchange currencies and the second one for gold and calculate as a consequence two different own fund requirement - according to Eba template design. While according to calculation described in article 352 it seems that the institution should calculate only one Position subject to capital charge that considers foreign exchange currencies and gold too; as a consequence in order to fill in the EBA templates that requires all information splitted in different rows, the institution should provide a breakdown of the total value previously calculated according to a proportion. In this case how should the institution calculate this proportion? According to this different approaches it is possible to obtain two different results (in terms of total own fund requirement), here below an example: Article 351: Net long positions Net short positions MAX – position subject to capital charge Foreign exchange currencies 70 50 70 Gold 60 60 Total 130 Article 352 (4): Net long positions Net short positions MAX – position subject to capital charge Foreign exchange currencies 70 50 Gold 60 Total 70 110 110 According to the first approach the institution will obtain a higher Position subject capital charge. Which approach shall we use?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1745
  • Topic: Market risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Securities borrowing - early termination clause vs HQLA

In case securities borrowing contract has a clause for early termination how shall we consider the notification period vs cash outflow for the calculation of LCR? Ex: 2 days notification period for early termination of securities borrowing contract. a) Do you consider this clause as a restriction to liquidation? b) Unless the early termination clause is activated can we omit the securities borrowed from cash outflows within 30 days?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Delegated Regulation (EU) 2015/61 - DR with regard to liquidity coverage requirement
  • ID: 2015_1743
  • Topic: Liquidity risk
  • Date of submission:
  • Published as final Q&A: 19/06/2015

Exemption of deduction under transitional arrangements. Calculation of the threshold of Article 470 of Regulation (EU) No 575/2013 (CRR)

When fixing the threshold of Article 470 of Regulation (EU) No 575/2013 (CRR), must it contain the amount of the excess of deductions from Additional Tier 1 (AT1), caused by the transitional arrangements, which cannot be entirely deducted from AT1 - because this latter’s amount is not large enough in order to allow all the deductions - and which was subsequently deducted from Common Equity Tier 1 (CET1)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2015_1741
  • Topic: Own funds
  • Date of submission:
  • Published as final Q&A: 26/06/2015

Excess of deductions from AT1 items over AT1 capital which must be deducted from CET1, but is caused by the impact of transitional arrangements.

How should the excess of deductions from AT1 items over AT1 capital due to the impact of transitional arrangements, which cannot be done in AT1 because of the existing amount of the instruments in this category is not large enough and thus they must be deducted from CT1, be reflected in the templates C.01.00 and C.05.01?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2015_1740
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 26/06/2015

Clarification on Leverage Ratio Delegated Act Reporting

Based on article 2, the COMMISION DELEGATED REGULATION (EU) 2015/62 enters into force on the day following that of its pubblication in the "Official Journal of the European Union". The delegated act was pubblished on January 17th, 2015. We are wondering if the reporting as of March 31th, 2015 should be based on delegated act rules (2015/62) using the actual Data Point Model (ANNEX X-XI COMMISION REGULATION (EU) 2014/680) or should be based on the actual regulation 575/2013 article 429?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2015_1738
  • Topic: Supervisory reporting - Leverage ratio
  • Date of submission:
  • Published as final Q&A: 12/06/2015

Possible redundant “overnight” in text.

Possible redundant “overnight” in text causing confusion.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2015_1735
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 18/12/2015

Principles for completing template C 67.00 and C 71.00

Is the counterparty defined on a group/parent level or on a legal unit level?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2015_1732
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 05/02/2016

Principles for completing template C67.00

Should we include items with no maturity and on-demand deposit in template C67.00?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2015_1731
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 18/12/2015

Assignment of irrevocable standby letters of credit and guarantees, which neither have the character of credit substitutes nor are related to trade finance, to the relevant risk category according to Annex I of the CRR.

Are irrevocable standby letters of credit and guarantees, which neither have the character of credit substitutes nor are related to trade finance, assigned to the risk category ‘medium risk’ according to Annex I?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1728
  • Topic: Credit risk
  • Date of submission:
  • Published as Rejected Q&A: 11/02/2022

Asset Encumbrance Reporting for firms with Accounting Reference Date other than 31 December

Article 2(3) of the ITS on Supervisory Reporting allows the uniform reporting and remittance dates for reporting financial information (i.e. FINREP) to be adjusted where institutions are permitted by national laws to report their financial information based on their accounting year-end which deviates from the calendar year (this was also clarified in the response to Q&A 147). The supervisory reporting templates on Asset Encumbrance follow, from a methodological point of view, FINREP and the current ITS also includes some cross validation checks between certain data points in FINREP and the AE templates.In this regard, can the same flexibility with the reporting and remittance dates (in Article 2(3) of the ITS on Supervisory Reporting) provided to institutions that have an accounting year-end which deviates from the calendar year in terms of reporting FINREP also be extended to the reporting of the Asset Encumbrance templates?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2015_1722
  • Topic: Supervisory reporting - Asset Encumbrance
  • Date of submission:
  • Published as final Q&A: 04/08/2017

Exit from forbearance classification in non-performing status if forbearance measures failed.

In the bank we have a question on forbearance exit rules. While the exit from forbearance in case of upgrade from default is clearly defined, the exit from forbearance classification in case of legal proceeding seems non existing. In EBA final draft on forbearance is no clear rule on reporting of non-performing forbearance when forbearance measures failed and a court procedure, e.g. compulsory settlement, bankruptcy or foreclosure, takes place.

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (repealed)
  • ID: 2015_1717
  • Topic: Supervisory reporting - FINREP (incl. FB&NPE)
  • Date of submission:
  • Published as final Q&A: 05/02/2016

Large AFS exposures and accounting for OCI unrealised gains

The question is regarding the ‘’exposures’’ definition (article 389 of CRR IV) and how to deal with assets on the Available For Sale (AFS) accounting portfolio (and hence valued at fair value through Other Comprehensive Income (OCI)) during the transitional period to a ‘’fully-loaded CRR IV’’. More specifically: If the 2014 transitional arrangements include 0% (exclude 100%) of OCI-unrealised gains from CET1 capital (and thus from ‘’eligible capital’’), would it be admissible for the sake of ‘’numerator-denominator consistency’’ to deduct those OCI-unrealised gains from the ‘’exposure’’ value, under the large exposures framework? Considering the above, what would be the approach for the following year (2015) with a transitional arrangement of 20% inclusion (80% exclusion) of OCI-unrealised gains? What would the treatment for OCI-unrealised losses be? How would this issue be dealt with in the capital requirements framework under the standardised approach for credit risk?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1716
  • Topic: Large exposures
  • Date of submission:

Calculation of the threshold for applying the Simplified approach for Additional Valuation Adjustment (AVA).

We are interested in knowing:1. If for the calculation of the thresholds asset and Liabilities under the FVO regime have to be (proportionally) taken into account (indeed, EBA RTS does not explicitly include them within the list of valuation positions for which a proportional calculation of the threshold can be applied- see EBA RTS introduction notes, subsection 3; on the other hand the EBA RTS does not explicitly excluded them). According to our view the answer to this question is yes (art. 34 states that additional value adjustments - calculated according to article 105 - shall apply to all fair value positions and not only to the trading book).2. If the answer to question 1) is yes then we are interest in knowing how to calculate the part that should be taken into account (i.e. the part that is not deriving from the own credit spread movements; the part that has an impact on CET1); we would like to know the criterion that should be used in order to calculate the “proportional part” of these stocks (of asset or liabilities) that is impacting the CET 1.3. If the answer to question 1 is yes and if the bank hedges the “the interest rate component” (that has impacts on CET1 ratio) of the asset or liability at FVO we are interested in knowing if this component has to be taken into account in order to calculate the part of the Assets/Liabilities that is going to be considered for the thresholds calculation?4. Does the answer to question 3 changes if the interest rate component is hedged “back to back” (reference to Q&A n. 29) with external counterparties or only hedged with a “portfolio approach”? Moreover, it is correct to consider as “not back to back hedges” (then a situation in which still the interest rate movements determine some P&L and consequently CET 1 effects) the situation in which there is a hedge back to back with a subsidiary that manages the interest rate risk with “portfolio approach”?5. Which is the meaning of “exactly matching, offsetting positions (art. 105 (14) point 3” to be excluded in the calculation of Simplified Approach threshold? Does it mean only an asset position and the corresponding position took as a liability, that exactly match each other in term of security type and amount (e.g. € 1 mln long position in Google equity stock in the trading book portfolio and 1 € mln short position on Google stock) or the meaning refers also to perfect hedging strategy (e.g. long the stock, short the equity futures with delta =0)?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Regulation (EU) 2016/101 - RTS for prudent valuation under Article 105(14) CRR
  • ID: 2015_1715
  • Topic: Market risk
  • Date of submission:
  • Published as final Q&A: 07/10/2016

CR IP Losses

Please can you clarify what should be reported in column 010 and 030 in CR IP Losses return. The query can be better expressed in the form of an example as below: The loan secured on Commercial Property is £65m and the market value of property before default is £60m. Therefore % lending secured = £60*50%/£65=46% Loss = £65-£60=£5 (this also gets reported in column 30) Column 10 = £5*46% = 2?? Assuming the entity applies 100% RW and not 50%/60% %lending secured = £60*100%/£65=92% Loss = £65-£60=£5 (this also gets reported in column 30) Column 10 = £5*92% = 4.6?? Or column 010=column 030= £5m (assuming 100% RW)

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable
  • ID: 2015_1713
  • Topic: Supervisory reporting - COREP (incl. IP Losses)
  • Date of submission:
  • Published as final Q&A: 15/04/2016

Reportable maturity for ALMM C70 ROLL-OVER OF FUNDING

The ANNEX XXI instructions for the ALMM C70 Roll-overs return do not outline whether initial maturity or remaining maturity should be reported. With regard to the C70 Roll-overs return, should respondents report maturing funding at initial maturity rather than remaining maturity?

  • Legal act: Regulation (EU) No 575/2013 (CRR)
  • COM Delegated or Implementing Acts/RTS/ITS/GLs: Draft ITS on Supervisory Reporting of Institutions
  • ID: 2015_1712
  • Topic: Supervisory reporting - Liquidity (LCR, NSFR, AMM)
  • Date of submission:
  • Published as final Q&A: 18/12/2015